Унификация используемых моделей

KLHZ.Trader.Core.Contracts/Declisions/Interfaces/ICachedValue.cs

@@ -2,7 +2,7 @@
 
 namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces
 {
-    internal interface ICachedValue : INewPrice
+    internal interface ICachedValue : ITradeDataItem
     {
         public decimal Value { get; }
         public decimal Value2 { get; }

KLHZ.Trader.Core.Contracts/Declisions/Interfaces/IPriceHistoryCacheUnit.cs

@@ -8,7 +8,7 @@ namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces
     {
         public string Figi { get; }
         public int Length { get; }
-        public ValueTask AddData(INewPrice priceChange);
+        public ValueTask AddData(ITradeDataItem priceChange);
         public ValueTask<(DateTime[] timestamps, decimal[] prices)> GetData(int? length = null);
         public ValueTask<(DateTime[] timestamps, decimal[] prices, bool isFullIntervalExists)> GetData(TimeSpan period);
         public ValueTask AddOrderbook(IOrderbook orderbook);

KLHZ.Trader.Core.Contracts/Messaging/Dtos/Interfaces/INewPrice.cs

@@ -1,6 +1,6 @@
 namespace KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces
 {
-    public interface INewPrice
+    public interface ITradeDataItem
     {
         public bool IsHistoricalData { get; }
         public decimal Price { get; }
@@ -9,5 +9,7 @@
         public DateTime Time { get; }
         public long Count { get; }
         public int Direction { get; }
+        public decimal Value { get; }
+        public decimal Value2 { get; }
     }
 }

KLHZ.Trader.Core.Contracts/Messaging/Dtos/Interfaces/IProcessedPrice.cs

@@ -1,6 +1,6 @@
 namespace KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces
 {
-    public interface IProcessedPrice : INewPrice
+    public interface IProcessedPrice : ITradeDataItem
     {
         public string Processor { get; set; }
     }

KLHZ.Trader.Core.Contracts/Messaging/Dtos/NewTrade.cs

@@ -2,7 +2,7 @@
 
 namespace KLHZ.Trader.Core.Contracts.Messaging.Dtos
 {
-    public class NewPriceMessage : INewPrice
+    public class NewTrade : ITradeDataItem
     {
         public decimal Price { get; set; }
         public required string Figi { get; set; }
@@ -11,5 +11,7 @@ namespace KLHZ.Trader.Core.Contracts.Messaging.Dtos
         public bool IsHistoricalData { get; set; }
         public long Count { get; set; }
         public int Direction { get; set; }
+        public decimal Value { get; init; }
+        public decimal Value2 { get; init; }
     }
 }

KLHZ.Trader.Core.Contracts/Messaging/Interfaces/IDataBus.cs

@@ -6,10 +6,10 @@ namespace KLHZ.Trader.Core.Contracts.Messaging.Interfaces
     public interface IDataBus
     {
         public bool AddChannel(string key, Channel<IOrderbook> channel);
-        public bool AddChannel(string key, Channel<INewPrice> channel);
+        public bool AddChannel(string key, Channel<ITradeDataItem> channel);
         public bool AddChannel(string key, Channel<IMessage> channel);
         public bool AddChannel(string key, Channel<ITradeCommand> channel);
-        public Task Broadcast(INewPrice newPriceMessage);
+        public Task Broadcast(ITradeDataItem newPriceMessage);
         public Task Broadcast(IOrderbook orderbook);
         public Task Broadcast(IMessage message);
         public Task Broadcast(ITradeCommand message);

KLHZ.Trader.Core.Math/Declisions/Dtos/TimeWindowCacheItem.cs

@@ -22,7 +22,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Dtos
             lock (_locker)
             {
                 _cachedValues.AddLast(cachedValue);
-                if (_cachedValues.Last != null && _cachedValues.First != null
+                while (_cachedValues.Last != null && _cachedValues.First != null
                     && _cachedValues.Last.Value.Time - _cachedValues.First.Value.Time > WindowSize)
                 {
                     _cachedValues.RemoveFirst();

KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit2.cs

@@ -105,7 +105,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
             }
         }
 
-        public ValueTask AddData(INewPrice priceChange)
+        public ValueTask AddData(ITradeDataItem priceChange)
         {
             if (priceChange.Figi != Figi) return ValueTask.CompletedTask;
             lock (_locker)
@@ -200,7 +200,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
             }
         }
 
-        public PriceHistoryCacheUnit2(string figi, params INewPrice[] priceChanges)
+        public PriceHistoryCacheUnit2(string figi, params ITradeDataItem[] priceChanges)
         {
             Figi = figi;
 

KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit3.cs

@@ -0,0 +1,224 @@
+using KLHZ.Trader.Core.Contracts.Declisions.Dtos;
+using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
+using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
+using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
+using KLHZ.Trader.Core.Math.Declisions.Dtos;
+using System.Collections.Concurrent;
+
+namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
+{
+    public class PriceHistoryCacheUnit3 : IPriceHistoryCacheUnit
+    {
+        public const int CacheMaxLength = 30000;
+        private const int _arrayMaxLength = 60000;
+
+        public string Figi { get; init; }
+
+        public int Length
+        {
+            get
+            {
+                lock (_locker)
+                {
+                    return _length;
+                }
+            }
+        }
+
+        public decimal AsksCount
+        {
+            get
+            {
+                lock (_locker)
+                {
+                    return _asksCount;
+                }
+            }
+        }
+
+        public decimal BidsCount
+        {
+            get
+            {
+                lock (_locker)
+                {
+                    return _bidsCount;
+                }
+            }
+        }
+
+        private readonly object _locker = new();
+        private readonly decimal[] Prices = new decimal[_arrayMaxLength];
+        private readonly DateTime[] Timestamps = new DateTime[_arrayMaxLength];
+        private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _20_secTimeWindows = new();
+        private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _1_minTimeWindows = new();
+        private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _5_minTimeWindows = new();
+        private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _15_minTimeWindows = new();
+
+        private int _length = 0;
+        private int _pointer = -1;
+
+        private long _asksCount = 1;
+        private long _bidsCount = 1;
+
+        public ValueTask AddDataToTimeWindowCache(string key, CachedValue data, TimeWindowCacheType timeWindowCacheType)
+        {
+            var dict = GetDict(timeWindowCacheType);
+            if (!dict.TryGetValue(key, out var cahcheItem))
+            {
+                dict.TryAdd(key, new TimeWindowCacheItem(key, timeWindowCacheType));
+            }
+            dict[key].AddData(data);
+            return ValueTask.CompletedTask;
+        }
+
+        public ValueTask<CachedValue[]> GetDataFromTimeWindowCache(string key, TimeWindowCacheType timeWindowCacheType)
+        {
+            var dict = GetDict(timeWindowCacheType);
+            if (dict.TryGetValue(key, out var cahcheItem))
+            {
+                return cahcheItem.GetValues();
+            }
+            return ValueTask.FromResult(Array.Empty<CachedValue>());
+        }
+
+        private ConcurrentDictionary<string, TimeWindowCacheItem> GetDict(TimeWindowCacheType timeWindowCacheType)
+        {
+            switch (timeWindowCacheType)
+            {
+                case TimeWindowCacheType._5_Minutes:
+                    {
+                        return _5_minTimeWindows;
+                    }
+                case TimeWindowCacheType._15_Minutes:
+                    {
+                        return _15_minTimeWindows;
+                    }
+                case TimeWindowCacheType._20_Seconds:
+                    {
+                        return _20_secTimeWindows;
+                    }
+                default:
+                    {
+                        return _1_minTimeWindows; ;
+                    }
+            }
+        }
+
+        public ValueTask AddData(ITradeDataItem priceChange)
+        {
+            if (priceChange.Figi != Figi) return ValueTask.CompletedTask;
+            lock (_locker)
+            {
+                _pointer++;
+                Prices[_pointer] = priceChange.Price;
+                Timestamps[_pointer] = priceChange.Time;
+                if (_length < CacheMaxLength)
+                {
+                    _length++;
+                }
+
+                if (_pointer == _arrayMaxLength - 1)
+                {
+                    Array.Copy(Prices, Prices.Length - CacheMaxLength, Prices, 0, CacheMaxLength);
+                    Array.Copy(Timestamps, Timestamps.Length - CacheMaxLength, Timestamps, 0, CacheMaxLength);
+                    _pointer = CacheMaxLength - 1;
+                }
+            }
+            return ValueTask.CompletedTask;
+        }
+
+        public ValueTask<(DateTime[] timestamps, decimal[] prices)> GetData(int? length = null)
+        {
+            lock (_locker)
+            {
+                if (_pointer < 0)
+                {
+                    return ValueTask.FromResult((Array.Empty<DateTime>(), Array.Empty<decimal>()));
+                }
+                else
+                {
+                    var dataLength = length.HasValue ? System.Math.Min(length.Value, _length) : _length;
+                    var prices = new decimal[dataLength];
+                    var timestamps = new DateTime[dataLength];
+                    var index = 1 + _pointer - dataLength;
+                    Array.Copy(Prices, index, prices, 0, prices.Length);
+                    Array.Copy(Timestamps, index, timestamps, 0, timestamps.Length);
+                    return ValueTask.FromResult((timestamps, prices));
+                }
+            }
+        }
+
+        public ValueTask AddOrderbook(IOrderbook orderbook)
+        {
+            if (orderbook.Figi != Figi) return ValueTask.CompletedTask;
+            lock (_locker)
+            {
+                _asksCount = orderbook.AsksCount;
+                _bidsCount = orderbook.BidsCount;
+            }
+            return ValueTask.CompletedTask;
+        }
+
+        public ValueTask<(DateTime time, decimal price)> GetLastValues()
+        {
+            lock (_locker)
+            {
+                return _pointer >= 0 ? ValueTask.FromResult((Timestamps[_pointer], Prices[_pointer])) : ValueTask.FromResult((DateTime.UtcNow, 0m));
+            }
+        }
+
+        public ValueTask<(DateTime[] timestamps, decimal[] prices, bool isFullIntervalExists)> GetData(TimeSpan period)
+        {
+            lock (_locker)
+            {
+                if (_pointer < 0)
+                {
+                    return ValueTask.FromResult((Array.Empty<DateTime>(), Array.Empty<decimal>(), false));
+                }
+                else
+                {
+                    var i = _pointer;
+                    var lastTime = Timestamps[i];
+                    for (i = _pointer - 1; i >= 0; i--)
+                    {
+                        var currentTime = Timestamps[i];
+                        if (lastTime - currentTime >= period)
+                        {
+                            break;
+                        }
+                    }
+
+                    var dataLength = _pointer - i;
+                    var prices = new decimal[dataLength];
+                    var timestamps = new DateTime[dataLength];
+                    var index = 1 + _pointer - dataLength;
+                    Array.Copy(Prices, index, prices, 0, prices.Length);
+                    Array.Copy(Timestamps, index, timestamps, 0, timestamps.Length);
+                    return ValueTask.FromResult((timestamps, prices, i + 1 != 0));
+                }
+            }
+        }
+
+        public PriceHistoryCacheUnit3(string figi, params ITradeDataItem[] priceChanges)
+        {
+            Figi = figi;
+
+
+            if (priceChanges.Length == 0)
+            {
+                return;
+            }
+
+            var selectedPriceChanges = priceChanges
+                .OrderBy(pc => pc.Time)
+                .Skip(priceChanges.Length - CacheMaxLength)
+                .ToArray();
+
+            foreach (var pc in selectedPriceChanges)
+            {
+                AddData(pc).AsTask().Wait();
+            }
+        }
+    }
+}

KLHZ.Trader.Core/Common/Messaging/Services/DataBus.cs

@@ -10,7 +10,7 @@ namespace KLHZ.Trader.Core.Common.Messaging.Services
         private readonly ConcurrentDictionary<string, Channel<IOrderbook>> _orderbooksChannels = new();
         private readonly ConcurrentDictionary<string, Channel<IMessage>> _messagesChannels = new();
         private readonly ConcurrentDictionary<string, Channel<ITradeCommand>> _commandsChannel = new();
-        private readonly ConcurrentDictionary<string, Channel<INewPrice>> _priceChannels = new();
+        private readonly ConcurrentDictionary<string, Channel<ITradeDataItem>> _priceChannels = new();
 
         public bool AddChannel(string key, Channel<IMessage> channel)
         {
@@ -22,7 +22,7 @@ namespace KLHZ.Trader.Core.Common.Messaging.Services
             return _commandsChannel.TryAdd(key, channel);
         }
 
-        public bool AddChannel(string key, Channel<INewPrice> channel)
+        public bool AddChannel(string key, Channel<ITradeDataItem> channel)
         {
             return _priceChannels.TryAdd(key, channel);
         }
@@ -32,7 +32,7 @@ namespace KLHZ.Trader.Core.Common.Messaging.Services
             return _orderbooksChannels.TryAdd(key, channel);
         }
 
-        public async Task Broadcast(INewPrice newPriceMessage)
+        public async Task Broadcast(ITradeDataItem newPriceMessage)
         {
             foreach (var channel in _priceChannels.Values)
             {

KLHZ.Trader.Core/DataLayer/Entities/Prices/PriceChange.cs

@@ -4,7 +4,7 @@ using System.ComponentModel.DataAnnotations.Schema;
 namespace KLHZ.Trader.Core.DataLayer.Entities.Prices
 {
     [Table("price_changes")]
-    public class PriceChange : INewPrice
+    public class PriceChange : ITradeDataItem
     {
         [Column("id")]
         public long Id { get; set; }
@@ -28,5 +28,11 @@ namespace KLHZ.Trader.Core.DataLayer.Entities.Prices
 
         [Column("direction")]
         public int Direction { get; set; }
+
+        [NotMapped]
+        public decimal Value { get; set; }
+
+        [NotMapped]
+        public decimal Value2 { get; set; }
     }
 }

KLHZ.Trader.Core/DataLayer/Entities/Prices/ProcessedPrice.cs

@@ -31,5 +31,11 @@ namespace KLHZ.Trader.Core.DataLayer.Entities.Prices
 
         [NotMapped]
         public int Direction { get; set; }
+
+        [NotMapped]
+        public decimal Value { get; set; }
+
+        [NotMapped]
+        public decimal Value2 { get; set; }
     }
 }

KLHZ.Trader.Core/Exchange/Services/Trader.cs

@@ -37,7 +37,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
 
         private readonly ConcurrentDictionary<string, decimal> DPirsonValues = new();
 
-        private readonly Channel<INewPrice> _pricesChannel = Channel.CreateUnbounded<INewPrice>();
+        private readonly Channel<ITradeDataItem> _pricesChannel = Channel.CreateUnbounded<ITradeDataItem>();
         private readonly Channel<ITradeCommand> _commands = Channel.CreateUnbounded<ITradeCommand>();
         private readonly Channel<IOrderbook> _orderbooks = Channel.CreateUnbounded<IOrderbook>();
         public Trader(
@@ -80,7 +80,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                     if (command.CommandType == TradeCommandType.OpenLong
                         || command.CommandType == TradeCommandType.OpenShort)
                     {
-                        var fakeMessage = new NewPriceMessage() { Figi = command.Figi, Ticker = "", Count = command.Count, Direction = 1, IsHistoricalData = false, Time = DateTime.UtcNow, Price = command.RecomendPrice ?? 0m };
+                        var fakeMessage = new NewTrade() { Figi = command.Figi, Ticker = "", Count = command.Count, Direction = 1, IsHistoricalData = false, Time = DateTime.UtcNow, Price = command.RecomendPrice ?? 0m };
                         var positionType = command.CommandType == TradeCommandType.OpenLong ? PositionType.Long : PositionType.Short;
                         var stops = GetStops(fakeMessage, positionType);
                         var accounts = _portfolioWrapper.Accounts
@@ -92,7 +92,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                     }
                     else
                     {
-                        var fakeMessage = new NewPriceMessage() { Figi = command.Figi, Ticker = "", Count = command.Count, Direction = 1, IsHistoricalData = false, Time = DateTime.UtcNow, Price = command.RecomendPrice ?? 0m };
+                        var fakeMessage = new NewTrade() { Figi = command.Figi, Ticker = "", Count = command.Count, Direction = 1, IsHistoricalData = false, Time = DateTime.UtcNow, Price = command.RecomendPrice ?? 0m };
                         var assetsForClose = _portfolioWrapper.Accounts
                             .SelectMany(a => a.Value.Assets.Values)
                             .Where(a => a.Figi == fakeMessage.Figi)
@@ -118,8 +118,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
 
         private async Task ProcessPrices()
         {
-            var pricesCache1 = new Dictionary<string, List<INewPrice>>();
-            var pricesCache2 = new Dictionary<string, List<INewPrice>>();
+            var pricesCache1 = new Dictionary<string, List<ITradeDataItem>>();
+            var pricesCache2 = new Dictionary<string, List<ITradeDataItem>>();
             var timesCache = new Dictionary<string, DateTime>();
             while (await _pricesChannel.Reader.WaitToReadAsync())
             {
@@ -259,7 +259,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }
         }
 
-        private async Task ClosePositions(Asset[] assets, INewPrice message, bool withProfitOnly = true)
+        private async Task ClosePositions(Asset[] assets, ITradeDataItem message, bool withProfitOnly = true)
         {
             var loggedDeclisions = 0;
             var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
@@ -322,7 +322,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }
         }
 
-        private async Task OpenPositions(IManagedAccount[] accounts, INewPrice message, PositionType positionType, decimal stopLossShift, decimal takeProfitShift, long count = 1)
+        private async Task OpenPositions(IManagedAccount[] accounts, ITradeDataItem message, PositionType positionType, decimal stopLossShift, decimal takeProfitShift, long count = 1)
         {
             var loggedDeclisions = 0;
             var sign = positionType == PositionType.Long ? 1 : 1;
@@ -348,7 +348,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }
         }
 
-        private async Task ExecuteDeclisions(INewPrice message, ImmutableDictionary<TradingEvent, decimal> result)
+        private async Task ExecuteDeclisions(ITradeDataItem message, ImmutableDictionary<TradingEvent, decimal> result)
         {
             var state = ExchangeScheduler.GetCurrentState();
             if (result[TradingEvent.UptrendStart] >= Constants.UppingCoefficient
@@ -449,7 +449,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
             return res;
         }
 
-        private (decimal stopLoss, decimal takeProfit) GetStops(INewPrice message, PositionType type)
+        private (decimal stopLoss, decimal takeProfit) GetStops(ITradeDataItem message, PositionType type)
         {
             decimal stopLossShift = 2m;
             decimal takeProfitShift = 6;

KLHZ.Trader.Core/Exchange/Services/TraderDataProvider.cs

@@ -93,7 +93,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
             return (Array.Empty<DateTime>(), Array.Empty<decimal>());
         }
 
-        public async ValueTask AddData(INewPrice message, TimeSpan? clearingInterval = null)
+        public async ValueTask AddData(ITradeDataItem message, TimeSpan? clearingInterval = null)
         {
             if (message.Direction != 1) return;
             if (_historyCash.TryGetValue(message.Figi, out var unit))
@@ -236,7 +236,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                     var data = await context1.PriceChanges
                         .Where(c => _instrumentsFigis.Contains(c.Figi) && c.Time >= time)
                         .OrderBy(c => c.Time)
-                        .Select(c => new NewPriceMessage()
+                        .Select(c => new NewTrade()
                         {
                             Figi = c.Figi,
                             Ticker = c.Ticker,
@@ -299,7 +299,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }
         }
 
-        internal async Task LogPrice(INewPrice message, string processor, decimal value)
+        internal async Task LogPrice(ITradeDataItem message, string processor, decimal value)
         {
             await LogPrice(new ProcessedPrice()
             {
@@ -323,7 +323,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }, false);
         }
 
-        internal async Task LogDeclision(DeclisionTradeAction action, INewPrice message, decimal? profit = null)
+        internal async Task LogDeclision(DeclisionTradeAction action, ITradeDataItem message, decimal? profit = null)
         {
             await LogDeclision(new Declision()
             {
@@ -337,7 +337,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }, false);
         }
 
-        internal async Task LogDeclision(DeclisionTradeAction action, decimal price, DateTime time, INewPrice message)
+        internal async Task LogDeclision(DeclisionTradeAction action, decimal price, DateTime time, ITradeDataItem message)
         {
             await LogDeclision(new Declision()
             {

KLHZ.Trader.Core/Exchange/Utils/TraderUtils.cs

@@ -58,11 +58,11 @@ namespace KLHZ.Trader.Core.Exchange.Utils
             return true;
         }
 
-        internal static INewPrice FilterHighFreqValues(INewPrice message, Dictionary<string, List<INewPrice>> pricesCache1)
+        internal static ITradeDataItem FilterHighFreqValues(ITradeDataItem message, Dictionary<string, List<ITradeDataItem>> pricesCache1)
         {
             if (!pricesCache1.TryGetValue(message.Figi, out var list))
             {
-                list = new List<INewPrice>();
+                list = new List<ITradeDataItem>();
                 pricesCache1[message.Figi] = list;
             }
             list.Add(message);

KLHZ.Trader.Service/Controllers/PlayController.cs

@@ -49,7 +49,7 @@ namespace KLHZ.Trader.Service.Controllers
                     var prices = await context1.PriceChanges
                         .Where(c => (c.Figi == figi1 || c.Figi == figi2) && c.Time >= time1 && c.Time < time2)
                         .OrderBy(c => c.Time)
-                        .Select(c => new NewPriceMessage()
+                        .Select(c => new NewTrade()
                         {
                             Figi = c.Figi,
                             Ticker = c.Ticker,

KLHZ.Trader.Service/Models/TimeSeriesData.cs

@@ -6,7 +6,7 @@ namespace KLHZ.Trader.Service.Models
     {
         public required string Figi { get; set; }
         public DateTime Time { get; set; }
-        public INewPrice? NewPrice { get; set; }
+        public ITradeDataItem? NewPrice { get; set; }
         public IOrderbook? Orderbook { get; set; }
     }
 }